Mutual fund alpha and daily market-timing ability

Qiang Bu

Studies in Economics and Finance, 2019, vol. 36, issue 4, 662-681

Abstract: Purpose - This study aims to examine whether mutual funds can earn daily alpha and time daily market return. Design/methodology/approach - Based on the Treynor and Mazuy (1966) model and the Henriksson and Merton (1981) model, the author tests the daily market-timing ability of actual mutual funds and bootstrapped mutual funds. Findings - The author finds that daily alpha and daily market-timing ability can come from pure luck. In addition, the relation between fund alpha and market-timing ability is at best minimal. Originality/value - Using bootstrapped funds as the benchmark, this study shows that daily fund market is overall efficient.

Keywords: Daily fund alpha; Market-timing factor; Bootstrapped funds; Market states (search for similar items in EconPapers)
Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (text/html)
https://www.emerald.com/insight/content/doi/10.110 ... d&utm_campaign=repec (application/pdf)
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eme:sefpps:sef-09-2018-0277

DOI: 10.1108/SEF-09-2018-0277

Access Statistics for this article

Studies in Economics and Finance is currently edited by Prof Niklas Wagner

More articles in Studies in Economics and Finance from Emerald Group Publishing Limited
Bibliographic data for series maintained by Emerald Support ().